//! Calibrate to a set of market instruments (caps/swaptions)
/*! An additional constraint can be passed which must be
* satisfied in addition to the constraints of the model.
*/
//public void calibrate(List<CalibrationHelper> instruments, OptimizationMethod method, EndCriteria endCriteria,
// Constraint constraint = new Constraint(), List<double> weights = new List<double>()) {
public void calibrate(List <CalibrationHelper> instruments, OptimizationMethod method, EndCriteria endCriteria,
Constraint additionalConstraint, List <double> weights)
{
if (!(weights.Count == 0 || weights.Count == instruments.Count))
{
throw new ApplicationException("mismatch between number of instruments and weights");
}
Constraint c;
if (additionalConstraint.empty())
{
c = constraint_;
}
else
{
c = new CompositeConstraint(constraint_, additionalConstraint);
}
List <double> w = weights.Count == 0 ? new InitializedList <double>(instruments.Count, 1.0): weights;
CalibrationFunction f = new CalibrationFunction(this, instruments, w);
Problem prob = new Problem(f, c, parameters());
shortRateEndCriteria_ = method.minimize(prob, endCriteria);
Vector result = new Vector(prob.currentValue());
setParams(result);
// recheck
Vector shortRateProblemValues_ = prob.values(result);
notifyObservers();
}
//! Calibrate to a set of market instruments (caps/swaptions)
/*! An additional constraint can be passed which must be
* satisfied in addition to the constraints of the model.
*/
//public void calibrate(List<CalibrationHelper> instruments, OptimizationMethod method, EndCriteria endCriteria,
// Constraint constraint = new Constraint(), List<double> weights = new List<double>()) {
public void calibrate(List <CalibrationHelper> instruments,
OptimizationMethod method,
EndCriteria endCriteria,
Constraint additionalConstraint = null,
List <double> weights = null,
List <bool> fixParameters = null)
{
if (weights == null)
{
weights = new List <double>();
}
if (additionalConstraint == null)
{
additionalConstraint = new Constraint();
}
Utils.QL_REQUIRE(weights.empty() || weights.Count == instruments.Count, () =>
"mismatch between number of instruments (" +
instruments.Count + ") and weights(" +
weights.Count + ")");
Constraint c;
if (additionalConstraint.empty())
{
c = constraint_;
}
else
{
c = new CompositeConstraint(constraint_, additionalConstraint);
}
List <double> w = weights.Count == 0 ? new InitializedList <double>(instruments.Count, 1.0): weights;
Vector prms = parameters();
List <bool> all = new InitializedList <bool>(prms.size(), false);
Projection proj = new Projection(prms, fixParameters ?? all);
CalibrationFunction f = new CalibrationFunction(this, instruments, w, proj);
ProjectedConstraint pc = new ProjectedConstraint(c, proj);
Problem prob = new Problem(f, pc, proj.project(prms));
shortRateEndCriteria_ = method.minimize(prob, endCriteria);
Vector result = new Vector(prob.currentValue());
setParams(proj.include(result));
Vector shortRateProblemValues_ = prob.values(result);
notifyObservers();
//CalibrationFunction f = new CalibrationFunction(this, instruments, w);
//Problem prob = new Problem(f, c, parameters());
//shortRateEndCriteria_ = method.minimize(prob, endCriteria);
//Vector result = new Vector(prob.currentValue());
//setParams(result);
//// recheck
//Vector shortRateProblemValues_ = prob.values(result);
//notifyObservers();
}
public Vector fcn(int m, int n, Vector x, int iflag)
{
Vector xt = new Vector(x);
Vector fvec;
// constraint handling needs some improvement in the future:
// starting point should not be close to a constraint violation
if (currentProblem_.constraint().test(xt))
{
fvec = new Vector(currentProblem_.values(xt));
}
else
{
fvec = new Vector(initCostValues_);
}
return(fvec);
}
//! Calibrate to a set of market instruments (caps/swaptions)
/*! An additional constraint can be passed which must be
satisfied in addition to the constraints of the model.
*/
//public void calibrate(List<CalibrationHelper> instruments, OptimizationMethod method, EndCriteria endCriteria,
// Constraint constraint = new Constraint(), List<double> weights = new List<double>()) {
public void calibrate(List<CalibrationHelper> instruments, OptimizationMethod method, EndCriteria endCriteria,
Constraint additionalConstraint, List<double> weights)
{
if (!(weights.Count == 0 || weights.Count == instruments.Count))
throw new ApplicationException("mismatch between number of instruments and weights");
Constraint c;
if (additionalConstraint.empty())
c = constraint_;
else
c = new CompositeConstraint(constraint_,additionalConstraint);
List<double> w = weights.Count == 0 ? new InitializedList<double>(instruments.Count, 1.0): weights;
CalibrationFunction f = new CalibrationFunction(this, instruments, w);
Problem prob = new Problem(f, c, parameters());
shortRateEndCriteria_ = method.minimize(prob, endCriteria);
Vector result = new Vector(prob.currentValue());
setParams(result);
// recheck
Vector shortRateProblemValues_ = prob.values(result);
notifyObservers();
}
public void OptimizersTest()
{
//("Testing optimizers...");
setup();
// Loop over problems (currently there is only 1 problem)
for (int i=0; i<costFunctions_.Count; ++i) {
Problem problem = new Problem(costFunctions_[i], constraints_[i], initialValues_[i]);
Vector initialValues = problem.currentValue();
// Loop over optimizers
for (int j = 0; j < (optimizationMethods_[i]).Count; ++j) {
double rootEpsilon = endCriterias_[i].rootEpsilon();
int endCriteriaTests = 1;
// Loop over rootEpsilon
for(int k=0; k<endCriteriaTests; ++k) {
problem.setCurrentValue(initialValues);
EndCriteria endCriteria = new EndCriteria(endCriterias_[i].maxIterations(),
endCriterias_[i].maxStationaryStateIterations(),
rootEpsilon,
endCriterias_[i].functionEpsilon(),
endCriterias_[i].gradientNormEpsilon());
rootEpsilon *= .1;
EndCriteria.Type endCriteriaResult =
optimizationMethods_[i][j].optimizationMethod.minimize(problem, endCriteria);
Vector xMinCalculated = problem.currentValue();
Vector yMinCalculated = problem.values(xMinCalculated);
// Check optimization results vs known solution
if (endCriteriaResult==EndCriteria.Type.None ||
endCriteriaResult==EndCriteria.Type.MaxIterations ||
endCriteriaResult==EndCriteria.Type.Unknown)
Assert.Fail("function evaluations: " + problem.functionEvaluation() +
" gradient evaluations: " + problem.gradientEvaluation() +
" x expected: " + xMinExpected_[i] +
" x calculated: " + xMinCalculated +
" x difference: " + (xMinExpected_[i]- xMinCalculated) +
" rootEpsilon: " + endCriteria.rootEpsilon() +
" y expected: " + yMinExpected_[i] +
" y calculated: " + yMinCalculated +
" y difference: " + (yMinExpected_[i]- yMinCalculated) +
" functionEpsilon: " + endCriteria.functionEpsilon() +
" endCriteriaResult: " + endCriteriaResult);
}
}
}
}
